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Suppose a portfolio has a notional value of $1,000,000 with 20 credit positions. Each of the credits has a default probability of 2% and a recovery rate of zero. Each credit position in the portfolio is an obligation from the same obligor, and therefore, the credit portfolio has a default correlation equal to 1. What is the credit value at risk at the 99% confidence level for this credit portfolio?

A) $0

B) $1,000

C) $20,000

D) $980,000

答案：D

解析：With the default correlation equal to 1, the portfolio will act as if there is only one credit. Viewing the portfolio as a binomial distributed random variable, there are only two possible outcomes for a portfolio acting as one credit. The portfolio has a 2% probability of total loss and a 98% probability of zero loss. Therefore, with a recovery rate of zero, the extreme loss given default is $1,000,000. The expected loss is equal to the portfolio value times π and is $20,000 in this example. The credit VaR is defined as the quantile of the credit loss less the expected loss of the portfolio. At the 99% confidence level, the credit VaR is equal to $980,000.

John holds a portfolio of two long positions which invest in assets X and Y. The value of X is USD 85 million and that of Y is 100 million.Assume X and Y are independent with each other. The 1-year PD of X and Y is 15% and 18%, and the joint PD is 6%. The LGD for both assets is 55%. Estimate the expected loss on the portfolio over the next year.扫码预约

A) USD 10.30 million

B) USD 12.49 million

C) USD 15.83 million

D) USD 16.91 million

答案：D

解析：EL = PD×LGD×EAD

ELP = ELX＋ELY= 15%×55%×85＋18%×55%×100 = 16.91

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